Search Results - subject:"redenomination risk"

Redenomination risk in eurozone corporate bond spreads

Bleaney, Michael F.; Veleanu, Veronica - In: The European journal of finance 27 (2021) 13, pp. 1303-1325

Persistent link: https://www.econbiz.de/10012653094

Breakup and default risks in the great lockdown

Bonaccolto, Giovanni; Borri, Nicola; Consiglio, Andrea - In: Journal of banking & finance 147 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014248239

The role of redenomination risk in the price evolution of Italian banks' CDS spreads

Anelli, Michele; Patanè, Michele; Toscano, Mario; … - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-17

through the Merton model, extended with the inclusion of a redenomination risk proxy, as to say, the risk that Italy could … commonly recognized periods of socio-political and financial distress. Results show that the redenomination risk is …

Persistent link: https://www.econbiz.de/10012611379

Breakup and default risks in the eurozone

Bonaccolto, Giovanni; Borri, Nicola; Consiglio, Andrea - 2020 - This version: March 6, 2020

Persistent link: https://www.econbiz.de/10012387848

The role of redenomination risk in the price evolution of Italian banks' CDS spreads

Anelli, Michele; Patanè, Michele; Toscano, Mario; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/150, pp. 1-17

Persistent link: https://www.econbiz.de/10012309329

Measuring redenomination risks in the Euro area: New evidence from survey data

Klose, Jens - 2019

This article introduces a new indicator to measure redenomination risks in Euro area countries. The measure is based on survey data. The influence of this indicator in determining sovereign bond yield spreads is tested using an ARDL-approach. The results for ten EMU countries in the period June...

Persistent link: https://www.econbiz.de/10012030947

Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data

Klose, Jens - 2019

Persistent link: https://www.econbiz.de/10012099046

Measuring redenomination risks in the Euro area : new evidence from survey data

Klose, Jens - 2019

Persistent link: https://www.econbiz.de/10012230969

Measuring redenomination risks in the Euro area : new evidence from survey data

Klose, Jens - 2019

Persistent link: https://www.econbiz.de/10011959757

The term structure of redenomination risk

Bayer, Christian; Kim, Chi Hyun; Kriwoluzky, Alexander - 2018

This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for … redenomination risk from the yield spreads between these two types of bonds. Redenomination risk primarily shows up at the short end …

Persistent link: https://www.econbiz.de/10011873682